Weight Paint Bone Selection vs Vertex Group Selection
When I have this kind of doubts, I generally build  a simple armature (2-3 bones), a simple object and try and experiment the behaviour I'm not sure about.

Anyway: the best way to select bones close each otheror overlapping is to separate them into different bone layers and turn on and off the needed layers.

The weight is an attribute of a vertex, relatively to a vertex group, which belongs to a mesh, so when you do some weight painting you are workng on a mesh, so if you select a new vertex group the weight painting will be relative to this latter vertex group, no matter which was the last selected bone in the armature.

When you add to a mesh an Armature modifier and select as object your armature, every time you move  a bone in pose mode Blender will search in the mesh if there is a vertex group with the same name, and will move the belonging vertices according to all weights in all vertex group.

This relationship is often set by the shortcut Ctrl+P
 (with automatic weights).

An useful and often unknown tool is: if you select your mesh, enter edit mode and select a weighted vertex, in the right properties panel (N
) you can find the vertex weights tab, which tells you all the weight assignements of the active vertex.